• 114 Citations
  • 6 h-Index
1988 …2016
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Fingerprint Dive into the research topics where In-Suk Wee is active. These topic labels come from the works of this person. Together they form a unique fingerprint.

  • 2 Similar Profiles
Jump-diffusion Model Mathematics
Independent Increments Mathematics
Local Time Mathematics
Stochastic Volatility Model Mathematics
Black-Scholes Model Mathematics
Option Pricing Mathematics
Jump Mathematics
Weak Invariance Principle Mathematics

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Research Output 1988 2016

  • 114 Citations
  • 6 h-Index
  • 21 Article
2 Citations (Scopus)

A recursive method for discretely monitored geometric Asian option prices

Kim, B., Kim, J., Kim, J. & Wee, I-S., 2016, In : Bulletin of the Korean Mathematical Society. 53, 3, p. 733-749 17 p.

Research output: Contribution to journalArticle

Asian Options
Recursive Method
Heston Model
Generalized Fourier Transform
Volatility
2 Citations (Scopus)
Jump-diffusion Model
Regime Switching
First Passage Time
Laplace transforms
Iterative Algorithm
18 Citations (Scopus)

Pricing of geometric Asian options under Heston's stochastic volatility model

Kim, B. & Wee, I-S., 2014 Oct 1, In : Quantitative Finance. 14, 10, p. 1795-1809 15 p.

Research output: Contribution to journalArticle

Stochastic volatility model
Asian options
Heston
Pricing
Floating
8 Citations (Scopus)

Valuation of power options under Heston's stochastic volatility model

Kim, J., Kim, B., Moon, K. S. & Wee, I-S., 2012 Nov 1, In : Journal of Economic Dynamics and Control. 36, 11, p. 1796-1813 18 p.

Research output: Contribution to journalArticle

Stochastic Volatility Model
Stochastic models
Valuation
Moment
Heston Model
11 Citations (Scopus)

An accurate and efficient numerical method for black-scholes equations

Jeong, D., Kim, J. & Wee, I-S., 2009 Dec 1, In : Communications of the Korean Mathematical Society. 24, 4, p. 617-628 12 p.

Research output: Contribution to journalArticle

Black-Scholes Equation
Asset Pricing
Black-Scholes
Option Pricing
Finite difference method